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I have a TradeStation FuturesPlus (aka CityTrader white label) account. Being able to build and place user-defined exchange traded option spreads using greeks criteria is crucial and works well, but I am looking for something a little cheaper if it would not have other problems. It is a not a...

Jusy fyi Cunningham does not charge my account for options that expire worthless. It may be negotiable though - I do recall it happened once and I got it fixed.

One thing I was thinking of was a web service that offered automated futures option analysis, greeks, etc. initially on an end-of-day basis. I know that iVolatility and some quote services offer this now, but I could offer them some competition by offering the basic service at least free plus...

Those are really great ideas and I do not see why they should not be possible - thanks so much!

Oh I see you have already done a lot then. I think the profiler will help though. Usually a few small methods account for a huge percent of the time. There must be bottlenecks. Maybe blocks in the multithreading. Sometimes for things like moving averages you can switch to an approach that...

I have written some extensions for CTS T4 and also IB's API for my own use in trading. I am not going to market those, but am wondering about the market in general if I were to start developing some software extensions and market them. Is X-Trader the leading platform on which developers...

I suspect that you just need to re-architect your design within Java. It should be possible to combine many of your loops etc. by refactoring and optimizing. That will have the same effect of speeding it up. Some optimizing tools will show you where time is being spent in your code...

Thanks! I agree there could be possibilities. They would, however, take a lot of time on my part. First I want to see if I can discover some market inefficiencies that I can exploit in trading. That really should be possible.

Thanks!

Thanks for your comments. I am testing with a range of deltas both ATM and OTM (from 50 to 1). I am also testing spreads like 10-5 vertical and even calendar spreads - I have them programmed but am holding off on the calendar spreads mostly for now. The delta bands certainly have potential...

There were certainly some huge moves in the grains along the way, for example in summer 2012 and earlier in the year in 2013. Quite often the weekly hedging does seem to get caught at the turn, with the delta wrong for a whole week at least as an adverse move takes place. Maybe I just need to...

I currently parse the original data from several sources (mainly public or subscription web and ftp sites including the CME) in C# code and convert it into intermediate flat files. A lot of the C# code to parse site data and reduce it was extremely time consuming to write because of...

It is over the last 3 and a quarter years of fully detailed daily closes of all months and strikes (of grain options in this case). (I will very soon also be able to run it over 10 years less exactly using just volatility history). But it still strikes me as unlikely so let me study the...

Thanks I do plan on back testing with delta bands - it is just a matter of the programming time. I will also look further into the feasibility of gamma hedging as was suggested. Yes in futures a delta of 1 being the minimum increment is a bit of a problem. But I guess one can use some...

I have been back-testing an option premium selling strategy on some agricultural commodity futures options (to start with), with and without dynamic delta hedging (using a position in the underlying future as the hedge). For short period of time (say trades of under 6 months), it seems that...

Yes futures gains are taxed favorably at 60% long-term 40% short-term capital gains rates when done *outside* a tax-deferred plan. So really it does not pay to do them in a tax-deferred plan. For stocks though, there is no 60/40 tax break, but as you say it will be taxed as ordinary income...

The IRS makes it vague because the whole issue is up in the air, there is no guidance in the statutes, and court decisions are all over the place. In case you are not aware, the IRS does not make policy, they just try to administer the law from statute, common law, and court guidance, which...

Yes - when you distribute funds from the plan (at retirement normally, or earlier if distributed earlier). It will be ordinary income at that time - no 60/40 capital gains tax break.

Foreigners are taxed only on Fixed, Determinable, Annual or Periodical Income (“FDAP”) from U.S. Sources. Tax at a 30% (or lower treaty) rate applies to FDAP income or gains from U.S. sources. See...

See http://www.bankrate.com/finance/taxes/capital-gain-tax-nonresident-investors.aspx "If you were in the United States for less than 183 days during the tax year, capital gains (other than gains listed earlier) are tax-exempt unless they are effectively connected with a trade or business in...